Title :
On the optimal Markov chain of IS simulation
Author_Institution :
Dept. of Electr. Eng., Nagaoka Univ. of Technol., Niigata, Japan
Abstract :
We investigate the importance sampling (IS) simulation of Markov chains. The optimal simulation Markov chain is known to be a twisted Markov chain, however, the proofs derived by Amari (1985) and Bucklew (1990) are very complicated and do not give us a good perspective. We give a simple and natural proof for the optimality of the twisted Markov chain in terms of Kullback-Leibler (KL) divergence
Keywords :
Markov processes; digital simulation; importance sampling; optimisation; IS simulation; Kullback-Leibler divergence; importance sampling; optimal Markov chain; proof; twisted Markov chain; Discrete event simulation; Hafnium; Information geometry; Monte Carlo methods; Solid modeling; State-space methods;
Conference_Titel :
Information Theory, 1998. Proceedings. 1998 IEEE International Symposium on
Conference_Location :
Cambridge, MA
Print_ISBN :
0-7803-5000-6
DOI :
10.1109/ISIT.1998.709020
